|
FAIR VALUE (Tables)
|
3 Months Ended |
|
Mar. 31, 2014
|
| Fair Value Tables |
|
| Schedule of carrying value and estimated fair value of assets and liabilities |
The carrying values and fair values of Newcastle’s assets and liabilities at March 31, 2014 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Balance or
Notional Amount
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Fair Value Method (A)
|
|
Weighted Average
Yield/Funding Cost (B)
|
|
Weighted Average
Life (Years)
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real estate securities, available-for-sale (C)*
|
$
|
532,730
|
|
|
$
|
439,023
|
|
|
$
|
439,023
|
|
|
Broker quotations, counterparty quotations, pricing services, pricing models
|
|
12.62
|
%
|
|
2.8
|
|
|
Real estate related and other loans, held-for-sale, net
|
428,848
|
|
|
313,250
|
|
|
325,353
|
|
|
Broker quotations, counterparty quotations, pricing services, pricing models
|
|
12.84
|
%
|
|
1.7
|
|
|
Residential mortgage loans, held-for-sale, net
|
270,484
|
|
|
248,299
|
|
|
278,317
|
|
|
Broker/counterparty quotations
|
|
8.54
|
%
|
|
5.3
|
|
|
Subprime mortgage loans subject to call option (D)
|
406,217
|
|
|
406,217
|
|
|
406,217
|
|
|
(D)
|
|
9.09
|
%
|
|
(D)
|
|
|
Restricted cash*
|
|
|
|
4,314
|
|
|
4,314
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents*
|
|
|
|
122,053
|
|
|
122,053
|
|
|
|
|
|
|
|
|
|
|
Non-hedge derivative assets (E)*
|
90,097
|
|
|
34,022
|
|
|
34,022
|
|
|
Counterparty quotations
|
|
N/A
|
|
|
(E)
|
|
|
Investments in senior housing real estate, net
|
|
|
|
1,374,710
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in other real estate, net
|
|
|
|
262,403
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Intangibles
|
|
|
187,101
|
|
|
|
|
|
|
|
|
|
|
Other investments
|
|
|
|
25,795
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receivables and other assets
|
|
|
|
103,422
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,520,609
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDO bonds payable (G)
|
$
|
407,785
|
|
|
$
|
408,813
|
|
|
$
|
293,626
|
|
|
Pricing models
|
|
3.17
|
%
|
|
2.3
|
|
|
Other bonds and notes payable (G)
|
233,371
|
|
|
221,305
|
|
|
224,013
|
|
|
Broker quotations, pricing models
|
|
3.49
|
%
|
|
3.1
|
|
|
Repurchase agreements
|
74,863
|
|
|
74,863
|
|
|
74,863
|
|
|
Market comparables
|
|
1.92
|
%
|
|
0.3
|
|
|
Mortgage notes payable
|
1,091,673
|
|
|
1,091,823
|
|
|
1,092,047
|
|
|
Pricing models
|
|
4.74
|
%
|
|
6.5
|
|
|
Credit facilities, golf
|
152,961
|
|
|
152,961
|
|
|
152,961
|
|
|
Pricing models
|
|
5.20
|
%
|
|
3.8
|
|
|
Financing of subprime mortgage loans subject to call option (D)
|
406,217
|
|
|
406,217
|
|
|
406,217
|
|
|
(D)
|
|
9.09
|
%
|
|
(D)
|
|
|
Junior subordinated notes payable
|
51,004
|
|
|
51,236
|
|
|
33,721
|
|
|
Pricing models
|
|
7.39
|
%
|
|
21.1
|
|
|
Interest rate swaps, treated as hedges (E)(F)*
|
104,662
|
|
|
4,999
|
|
|
4,999
|
|
|
Counterparty quotations
|
|
N/A
|
|
|
(E)
|
|
|
Non-hedge derivatives (E)*
|
183,729
|
|
|
5,515
|
|
|
5.515
|
|
|
Counterparty quotations
|
|
N/A
|
|
|
(E)
|
|
|
Dividends payable, accrued expenses and other liabilities
|
|
|
|
297,402
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities of discontinued operations
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,715,134
|
|
|
|
|
|
|
|
|
|
|
|
|
*Measured at fair value on a recurring basis.
|
|
|
(A)
|
Methods are listed in order of priority. In the case of real estate securities and real estate related and other loans, broker quotations are obtained if available and practicable, otherwise counterparty quotations or pricing service valuations are obtained or, finally, internal pricing models are used. Internal pricing models are only used for (i) securities and loans that are not traded in an active market, and, therefore, have little or no price transparency, and for which significant unobservable inputs must be used in estimating fair value, or (ii) loans or debt obligations which are private and untraded.
|
|
|
|
(B)
|
The weighted average yield and weighted average funding cost are disclosed for financial instrument assets and liabilities, respectively.
|
|
|
|
(C)
|
Excludes nine CDO securities with a zero value, which had an aggregate face amount of $115.3 million.
|
|
|
|
(D)
|
These two items results from an option, not an obligation, to repurchase loans from Newcastle’s subprime mortgage loan securitizations (Note 6), are noneconomic until such option is exercised, and are equal and offsetting.
|
|
|
|
(E)
|
Newcastle’s derivatives fall into two categories. A derivative asset with an aggregate notional balance of $90.1 million represents linked transactions with $90.1 million face amount of underlying financed securities. As of March 31, 2014, all derivative liabilities, which represent three interest rate swaps, were held within Newcastle’s nonrecourse structures. An aggregate notional balance of $288.3 million is only subject to the credit risks of the respective CDO structures. As they are senior to all the debt obligations of the respective CDOs and the fair value of each of the CDOs’ total investments exceeded the fair value of each of the CDOs’ derivative liabilities, no credit valuation adjustments were recorded. Newcastle’s interest rate swap counterparties include Bank of America and Bank of New York Mellon. Newcastle’s derivatives are included in receivables and other assets or accounts payable, accrued expenses and other liabilities in the consolidated balance sheets, as applicable.
|
(F)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year of Maturity
|
|
Weighted Average Month of Maturity
|
|
Aggregate Notional Amount
|
|
Weighted Average Fixed Pay Rate
|
|
Aggregate Fair Value
|
|
Interest rate swap agreements
which receive 1-Month LIBOR:
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
Apr
|
|
$
|
104,662
|
|
|
5.04
|
%
|
|
$
|
4,999
|
|
|
|
|
(G)
|
Newcastle notes that the unrealized gain on the liabilities within such structures cannot be fully realized. Assets held within CDOs and other nonrecourse structures are generally not available to satisfy obligations outside of such financings, except to the extent Newcastle receives net cash flow distributions from such structures. Furthermore, creditors or beneficial interest holders of these structures have no recourse to the general credit of Newcastle. Therefore, Newcastle’s exposure to the economic losses from such structures is limited to its invested equity in them and economically their book value cannot be less than zero. As a result, the fair value of Newcastle’s net investments in these non-recourse financing structures is equal to the present value of their expected future net cash flows.
|
|
| Schedule of fair value of derivative assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year of Maturity
|
|
Weighted Average Month of Maturity
|
|
Aggregate Notional Amount
|
|
Weighted Average Fixed Pay Rate
|
|
Aggregate Fair Value
|
|
Interest rate swap agreements
which receive 1-Month LIBOR:
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
Apr
|
|
$
|
104,662
|
|
|
5.04
|
%
|
|
$
|
4,999
|
|
| Schedule of fair value of assets and liabilities measured on a recurring basis |
The following table summarizes such financial assets and liabilities measured at fair value on a recurring basis at March 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Balance or
|
|
|
|
Fair Value
|
|
|
Notional Amount
|
|
Carrying Value
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real estate securities, available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CMBS
|
$
|
330,213
|
|
|
$
|
286,341
|
|
|
$
|
—
|
|
|
$
|
286,341
|
|
|
$
|
286,341
|
|
|
REIT debt
|
29,200
|
|
|
30,957
|
|
|
30,957
|
|
|
—
|
|
|
30,957
|
|
|
Non-Agency RMBS
|
93,221
|
|
|
61,524
|
|
|
—
|
|
|
61,524
|
|
|
61,524
|
|
|
ABS - other real estate
|
8,464
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
CDO (A)
|
71,632
|
|
|
60,201
|
|
|
—
|
|
|
60,201
|
|
|
60,201
|
|
|
Real estate securities total
|
$
|
532,730
|
|
|
$
|
439,023
|
|
|
$
|
30,957
|
|
|
$
|
408,066
|
|
|
$
|
439,023
|
|
|
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Linked transactions at fair value
|
90,097
|
|
|
34,022
|
|
|
—
|
|
|
34,022
|
|
|
34,022
|
|
|
Derivative assets total
|
$
|
90,097
|
|
|
$
|
34,022
|
|
|
$
|
—
|
|
|
$
|
34,022
|
|
|
$
|
34,022
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps, treated as hedges
|
$
|
104,662
|
|
|
$
|
4,999
|
|
|
$
|
4,999
|
|
|
$
|
—
|
|
|
$
|
4,999
|
|
|
Interest rate swaps, not treated as hedges
|
183,729
|
|
|
5,515
|
|
|
5,515
|
|
|
—
|
|
|
5,515
|
|
|
Derivative liabilities total
|
$
|
288,391
|
|
|
$
|
10,514
|
|
|
$
|
10,514
|
|
|
$
|
—
|
|
|
$
|
10,514
|
|
|
|
|
(A)
|
Represents non-consolidated CDO securities, excluding nine securities with a zero value, which had an aggregate face amount of $115.3 million.
|
|
| Schedule of change in fair value of Level 3 investments |
Newcastle’s investments in instruments measured at fair value on a recurring basis using Level 3 inputs changed during the three months ended ended March 31, 2014 as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CMBS
|
|
ABS
|
|
|
|
|
|
|
|
|
Conduit
|
|
Other
|
|
Subprime
|
|
Other
|
|
Equity/Other Securities
|
|
Linked Transactions
|
|
Total
|
|
Balance at December 31, 2013
|
$
|
198,935
|
|
|
$
|
85,534
|
|
|
57,581
|
|
|
$
|
—
|
|
|
$
|
59,757
|
|
|
$
|
43,662
|
|
|
$
|
445,469
|
|
|
Total gains (losses) (A)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in net income (B)
|
422
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,673
|
|
|
11,095
|
|
|
Included in other comprehensive income (loss)
|
(568
|
)
|
|
432
|
|
|
4,723
|
|
|
—
|
|
|
1,588
|
|
|
—
|
|
|
6,175
|
|
|
Amortization included in interest income
|
4,413
|
|
|
184
|
|
|
1,171
|
|
|
24
|
|
|
1,145
|
|
|
—
|
|
|
6,937
|
|
|
Purchases, sales and repayments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Proceeds from sales
|
(545
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(545
|
)
|
|
Proceeds from repayments
|
(2,324
|
)
|
|
(142
|
)
|
|
(1,951
|
)
|
|
(24
|
)
|
|
(2,289
|
)
|
|
(20,313
|
)
|
|
(27,043
|
)
|
|
Balance at March 31, 2014
|
$
|
200,333
|
|
|
$
|
86,008
|
|
|
61,524
|
|
|
$
|
—
|
|
|
$
|
60,201
|
|
|
$
|
34,022
|
|
|
$
|
442,088
|
|
|
|
|
(A)
|
None of the gains (losses) recorded in earnings during the period is attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date.
|
|
|
|
(B)
|
These gains (losses) are recorded in the following line items in the consolidated statements of income:
|
|
|
|
|
|
|
|
Three Months Ended March 31, 2014
|
|
Gain (loss) on settlement of investments, net
|
$
|
422
|
|
|
Other income (loss), net
|
10,673
|
|
|
OTTI
|
—
|
|
|
Total
|
$
|
11,095
|
|
|
|
|
|
Gain (loss) on settlement of investments, net, from investments transferred into Level 3 during the period
|
$
|
—
|
|
|
| Schedule of gains losses on fair value of RE securities |
These gains (losses) are recorded in the following line items in the consolidated statements of income: |
|
|
|
|
|
|
|
Three Months Ended March 31, 2014
|
|
Gain (loss) on settlement of investments, net
|
$
|
422
|
|
|
Other income (loss), net
|
10,673
|
|
|
OTTI
|
—
|
|
|
Total
|
$
|
11,095
|
|
|
|
|
|
Gain (loss) on settlement of investments, net, from investments transferred into Level 3 during the period
|
$
|
—
|
|
|
| Schedule of securities valuation methodology and results |
As of March 31, 2014, Newcastle’s securities valuation methodology and results are further detailed as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Outstanding
Face
|
|
Amortized
Cost
|
|
Multiple
|
|
Single
|
|
Internal
Pricing
|
|
|
|
Asset Type
|
Amount (A)
|
|
Basis (B)
|
|
Quotes (C)
|
|
Quote (D)
|
|
Models (E)
|
|
Total
|
|
CMBS
|
$
|
330,213
|
|
|
$
|
229,887
|
|
|
$
|
243,629
|
|
|
$
|
42,712
|
|
|
$
|
—
|
|
|
$
|
286,341
|
|
|
REIT debt
|
29,200
|
|
|
28,729
|
|
|
30,957
|
|
|
—
|
|
|
—
|
|
|
30,957
|
|
|
Non-Agency RMBS
|
93,221
|
|
|
39,894
|
|
|
61,524
|
|
|
—
|
|
|
—
|
|
|
61,524
|
|
|
ABS - other real estate
|
8,464
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
CDO (F)
|
71,632
|
|
|
55,851
|
|
|
—
|
|
|
56,923
|
|
|
3,278
|
|
|
60,201
|
|
|
Total
|
$
|
532,730
|
|
|
$
|
354,361
|
|
|
$
|
336,110
|
|
|
$
|
99,635
|
|
|
$
|
3,278
|
|
|
$
|
439,023
|
|
|
|
|
(A)
|
Net of incurred losses.
|
|
|
|
(B)
|
Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended March 31, 2014.
|
|
|
|
(C)
|
Management generally obtained pricing service quotations or broker quotations from at least two sources, one of which was generally the seller (the party that sold us the security). Management selected one of the quotes received as being most representative of fair value and did not use an average of the quotes. Even if Newcastle receives two or more quotes on a particular security that come from non-selling brokers or pricing services, it does not use an average because management believes using an actual quote more closely represents a transactable price for the security than an average level. Furthermore, in some cases there is a wide disparity between the quotes Newcastle receives. Management believes using an average of the quotes in these cases would generally not represent the fair value of the asset. Based on Newcastle’s own fair value analysis using internal models, management selects one of the quotes which are believed to more accurately reflect fair value. Newcastle never adjusts quotes received. These quotations are generally received via email and contain disclaimers which state that they are “indicative” and not “actionable” – meaning that the party giving the quotation is not bound to actually purchase the security at the quoted price.
|
|
|
|
(D)
|
Management was unable to obtain quotations from more than one source on these securities. The one source was generally the seller (the party that sold us the security) or a pricing service.
|
|
|
|
(E)
|
Securities whose fair value was estimated based on internal pricing models are further detailed as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impairment
|
|
Unrealized
|
|
Weighted Average Significant Input
|
|
|
Amortized
Cost
Basis (B)
|
|
Fair Value
|
|
Recorded
In
Current
Period
|
|
Gains
(Losses) in
Accumulated
OCI
|
|
Discount
Rate
|
|
Prepayment
Speed (G)
|
|
Cumulative
Default
Rate
|
|
Loss
Severity
|
|
CDO
|
—
|
|
|
3,278
|
|
|
—
|
|
|
3,278
|
|
|
20.0
|
%
|
|
3.5
|
%
|
|
21.0
|
%
|
|
73.6
|
%
|
|
Total
|
$
|
—
|
|
|
$
|
3,278
|
|
|
$
|
—
|
|
|
$
|
3,278
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At March 31, 2014, there was no ABS or CMBS fair value based on model mark assumptions.
All of the assumptions listed have some degree of market observability, based on Newcastle’s knowledge of the market, relationships with market participants, and use of common market data sources. Collateral prepayment, default and loss severity projections are in the form of “curves” or “vectors” that vary for each monthly collateral cash flow projection. Methods used to develop these projections vary by asset class (e.g., CMBS projections are developed differently than home equity ABS projections) but conform to industry conventions. Newcastle uses assumptions that generate its best estimate of future cash flows of each respective security.
The prepayment vector specifies the percentage of the collateral balance that is expected to voluntarily pay off at each point in the future. The prepayment vector is based on projections from a widely published investment bank model which considers factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis. This vector is scaled up or down to match recent collateral-specific prepayment experience, as obtained from remittance reports and market data services.
Loss severities are based on recent collateral-specific experience with additional consideration given to collateral characteristics. Collateral age is taken into consideration because severities tend to initially increase with collateral age before eventually stabilizing. Newcastle typically uses projected severities that are higher than the historic experience for collateral that is relatively new to account for this effect. Collateral characteristics such as loan size, lien position, and location (state) also effect loss severity. Newcastle considers whether a collateral pool has experienced a significant change in its composition with respect to these factors when assigning severity projections.
Default rates are determined from the current “pipeline” of loans that are more than 90 days delinquent, in foreclosure, or are REO. These significantly delinquent loans determine the first 24 months of the default vector. Beyond month 24, the default vector transitions to a steady-state value that is generally equal to or greater than that given by the widely published investment bank model.
The discount rates Newcastle uses are derived from a range of observable pricing on securities backed by similar collateral and offered in a live market. As the markets in which Newcastle transacts have become less liquid, Newcastle has had to rely on fewer data points in this analysis.
|
|
|
(F)
|
Represents non-consolidated CDO securities, excluding nine securities with a zero value, which had an aggregate face amount of $115.3 million.
|
|
|
|
(G)
|
Projected annualized average prepayment rate.
|
|
| Schedule of securities valued based on internal pricing models |
Securities whose fair value was estimated based on internal pricing models are further detailed as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impairment
|
|
Unrealized
|
|
Weighted Average Significant Input
|
|
|
Amortized
Cost
Basis (B)
|
|
Fair Value
|
|
Recorded
In
Current
Period
|
|
Gains
(Losses) in
Accumulated
OCI
|
|
Discount
Rate
|
|
Prepayment
Speed (G)
|
|
Cumulative
Default
Rate
|
|
Loss
Severity
|
|
CDO
|
—
|
|
|
3,278
|
|
|
—
|
|
|
3,278
|
|
|
20.0
|
%
|
|
3.5
|
%
|
|
21.0
|
%
|
|
73.6
|
%
|
|
Total
|
$
|
—
|
|
|
$
|
3,278
|
|
|
$
|
—
|
|
|
$
|
3,278
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At March 31, 2014, there was no ABS or CMBS fair value based on model mark assumptions.
All of the assumptions listed have some degree of market observability, based on Newcastle’s knowledge of the market, relationships with market participants, and use of common market data sources. Collateral prepayment, default and loss severity projections are in the form of “curves” or “vectors” that vary for each monthly collateral cash flow projection. Methods used to develop these projections vary by asset class (e.g., CMBS projections are developed differently than home equity ABS projections) but conform to industry conventions. Newcastle uses assumptions that generate its best estimate of future cash flows of each respective security.
The prepayment vector specifies the percentage of the collateral balance that is expected to voluntarily pay off at each point in the future. The prepayment vector is based on projections from a widely published investment bank model which considers factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis. This vector is scaled up or down to match recent collateral-specific prepayment experience, as obtained from remittance reports and market data services.
Loss severities are based on recent collateral-specific experience with additional consideration given to collateral characteristics. Collateral age is taken into consideration because severities tend to initially increase with collateral age before eventually stabilizing. Newcastle typically uses projected severities that are higher than the historic experience for collateral that is relatively new to account for this effect. Collateral characteristics such as loan size, lien position, and location (state) also effect loss severity. Newcastle considers whether a collateral pool has experienced a significant change in its composition with respect to these factors when assigning severity projections.
Default rates are determined from the current “pipeline” of loans that are more than 90 days delinquent, in foreclosure, or are REO. These significantly delinquent loans determine the first 24 months of the default vector. Beyond month 24, the default vector transitions to a steady-state value that is generally equal to or greater than that given by the widely published investment bank model.
The discount rates Newcastle uses are derived from a range of observable pricing on securities backed by similar collateral and offered in a live market. As the markets in which Newcastle transacts have become less liquid, Newcastle has had to rely on fewer data points in this analysis.
|
| Schedule of fair value for real estate related loans and residential mortgage loans held for sale |
The following tables summarize certain information for real estate related and other loans and residential mortgage loans held-for-sale as of March 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation
|
|
Significant Input
|
|
|
|
Outstanding
|
|
|
|
|
|
Allowance/
|
|
Range
|
|
Weighted Average
|
|
|
|
Face
|
|
Carrying
|
|
Fair
|
|
(Reversal) In
|
|
Discount
|
|
Loss
|
|
Discount
|
|
Loss
|
|
|
Loan Type
|
Amount
|
|
Value
|
|
Value
|
|
Current Year
|
|
Rate
|
|
Severity
|
|
Rate
|
|
Severity
|
|
|
Mezzanine
|
$
|
157,519
|
|
|
$
|
125,071
|
|
|
$
|
128,324
|
|
|
$
|
—
|
|
|
5.0%-9.0%
|
|
|
0.0%-100.0%
|
|
|
7.0
|
%
|
|
18.9
|
%
|
|
|
Bank Loan
|
174,806
|
|
|
97,244
|
|
|
106,086
|
|
|
1,607
|
|
|
16.6%-42.1%
|
|
|
0.0%-100.0%
|
|
|
22.0
|
%
|
|
34.1
|
%
|
|
|
B-Note
|
96,033
|
|
|
90,445
|
|
|
90,444
|
|
|
(1,175
|
)
|
|
8.2%-12.0%
|
|
|
0.0
|
%
|
|
11.1
|
%
|
|
0.0
|
%
|
|
|
Whole Loan
|
490
|
|
|
490
|
|
|
499
|
|
|
—
|
|
|
4.0
|
%
|
|
0.0
|
%
|
|
4.1
|
%
|
|
0.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Real Estate Related and other Loans Held-for-Sale, Net
|
$
|
428,848
|
|
|
$
|
313,250
|
|
|
$
|
325,353
|
|
|
$
|
432
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes certain information for residential mortgage loans held-for-sale as of March 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation
|
|
Significant Input (Weighted Average)
|
|
|
|
Outstanding
|
|
|
|
|
|
Allowance/
|
|
|
|
|
|
|
|
|
|
|
|
Face
|
|
Carrying
|
|
Fair
|
|
(Reversal) In
|
|
Discount
|
|
Prepayment
|
|
Constant
|
|
Loss
|
|
Loan Type
|
|
Amount
|
|
Value (A)
|
|
Value (A)
|
|
Current Year
|
|
Rate
|
|
Speed
|
|
Default Rate
|
|
Severity
|
|
Non-securitized Manufactured Housing Loans Portfolio I
|
|
$
|
496
|
|
|
$
|
130
|
|
|
$
|
521
|
|
|
$
|
(3
|
)
|
|
82.0
|
%
|
|
5.0
|
%
|
|
11.6
|
%
|
|
65.0
|
%
|
|
Non-Securitized Manufactured Housing Loans Portfolio II
|
|
2,511
|
|
|
2,048
|
|
|
2,726
|
|
|
(16
|
)
|
|
15.4
|
%
|
|
5.0
|
%
|
|
3.5
|
%
|
|
60.0
|
%
|
|
Securitized Manufactured Housing Loans Portfolio I
|
|
98,925
|
|
|
89,113
|
|
|
104,991
|
|
|
(3
|
)
|
|
9.5
|
%
|
|
6.0
|
%
|
|
3.0
|
%
|
|
65.0
|
%
|
|
Securitized Manufactured Housing Loans Portfolio II
|
|
123,611
|
|
|
123,277
|
|
|
131,529
|
|
|
437
|
|
|
8.3
|
%
|
|
7.0
|
%
|
|
3.5
|
%
|
|
60.0
|
%
|
|
Residential Loans
|
|
44,941
|
|
|
33,731
|
|
|
38,550
|
|
|
399
|
|
|
7.0
|
%
|
|
4.6
|
%
|
|
2.7
|
%
|
|
45.8
|
%
|
|
Total Residential Mortgage Loans, Held-for-Sale, Net
|
|
$
|
270,484
|
|
|
$
|
248,299
|
|
|
$
|
278,317
|
|
|
$
|
814
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(A)
|
Carrying value and fair value include interest receivable of $0.1 million for the residential housing loans and principal and interest receivable of $5.2 million for the manufactured housing loans.
|
|
| Schedule of fair value of derivatives |
Newcastle’s derivatives are recorded on its balance sheet as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Balance sheet location
|
|
March 31, 2014
|
|
December 31, 2013
|
|
Derivative Assets
|
|
|
|
|
|
|
|
|
Linked transactions at fair value
|
Receivables and other assets
|
|
$
|
34,022
|
|
|
$
|
43,662
|
|
|
|
|
|
$
|
34,022
|
|
|
$
|
43,662
|
|
|
Derivative Liabilities
|
|
|
|
|
|
|
|
|
Interest rate swaps, designated as hedges
|
Accounts payable, accrued expenses and other liabilities
|
|
$
|
4,999
|
|
|
$
|
6,203
|
|
|
Interest rate swaps, not designated as hedges
|
Accounts payable, accrued expenses and other liabilities
|
|
5,515
|
|
|
7,592
|
|
|
|
|
|
$
|
10,514
|
|
|
$
|
13,795
|
|
| Schedule of outstanding derivatives |
The following table summarizes information related to derivatives:
|
|
|
|
|
|
|
|
|
|
|
March 31, 2014
|
|
December 31, 2013
|
|
Cash flow hedges
|
|
|
|
|
|
|
Notional amount of interest rate swap agreements
|
$
|
104,662
|
|
|
$
|
105,031
|
|
|
Amount of (loss) recognized in OCI on effective portion
|
(4,914
|
)
|
|
(6,117
|
)
|
|
Deferred hedge gain (loss) related to anticipated financings, which have subsequently occurred, net of amortization
|
153
|
|
|
170
|
|
|
Deferred hedge gain (loss) related to dedesignation, net of amortization
|
(40
|
)
|
|
(45
|
)
|
|
Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months
|
54
|
|
|
53
|
|
|
Expected reclassification of current hedges from AOCI into earnings over the next 12 months
|
(3,937
|
)
|
|
(3,915
|
)
|
|
|
|
|
|
|
Non-hedge Derivatives
|
|
|
|
|
|
|
Notional amount of interest rate swap agreements
|
183,729
|
|
|
185,871
|
|
|
Notional amount of linked transactions (A)
|
90,097
|
|
|
116,806
|
|
|
|
|
(A)
|
This represents the current face amount of the underlying financed securities comprising linked transactions.
|
|
| Schedule of gain loss on derivatives |
The following table summarizes gains (losses) recorded in relation to derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
March 31,
|
|
|
Income statement location
|
|
2014
|
|
2013
|
|
Cash flow hedges
|
|
|
|
|
|
|
|
|
Amount of gain (loss) reclassified from AOCI into income, related to effective portion
|
Interest expense
|
$
|
(1,280
|
)
|
$
|
(1,865
|
)
|
|
Deferred hedge gain reclassified from AOCI into income, related to anticipated financings
|
Interest expense
|
|
17
|
|
|
16
|
|
|
Deferred hedge gain (loss) reclassified from AOCI into income, related to effective portion of dedesignated hedges
|
Interest expense
|
|
(4
|
)
|
|
(16
|
)
|
|
|
|
|
|
|
|
|
Non-hedge derivatives gain (loss)
|
|
|
|
|
|
|
|
|
Interest rate swaps
|
Other income (loss)
|
|
2,075
|
|
|
3,126
|
|
|
Linked transactions
|
Other income (loss)
|
|
10,673
|
|
|
—
|
|
| Schedule of net assets recognized as linked transactions |
The following table presents both gross information and net information about linked transactions as of March 31, 2014:
|
|
|
|
|
|
Real estate securities-available for sale (A)
|
$
|
88,272
|
|
|
Repurchase agreements (B)
|
(54,250
|
)
|
|
Net assets recognized as linked transactions
|
$
|
34,022
|
|
|
|
|
(A)
|
Represents the fair value of the securities accounted for as part of linked transactions at March 31, 2014.
|
|
|
|
(B)
|
Represents the carrying value, which approximates fair value, of the repurchase agreements accounted for as part of linked transactions at March 31, 2014.
|
|